Life Insurance

Lapse rate models in life insurance and a practical method to foresee Interest Rates dependencies


Lapse rate modelling is an important topic for life insurers. Changes in such lapse rate can potentially lead to material losses or to liquidity problems. Yet lapses prove difficult to model because they can be influenced by large number of parameters including the policyholder’s behavioral characteristics, the product’s specificities or the financial markets and macro-economic environment. Specifically the modeling of interest rate dependency proves both critical (as lapses could be driven by increasing interest rates) and difficult to calibrate (historical data offer for instance limited information as rates decreased almost continuously over the recent decades). In this white paper we review market practices in the Belgian market with regard to the modeling of lapses. We further propose a pragmatic way to model and calibrate the interest rate dependency of lapse rates. Julie Zians, Aurélie Miller and François Ducuroir